开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Shawnxz · 2024年05月04日

请问这个考点在哪一部分？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200000701

问题如下：

Which of the following statements is true if yield levels increase by 50 bps?

选项：

A.

The active portfolio will outperform the index portfolio by approximately 61 bps.

B.

The index portfolio will outperform the active portfolio by approximately 61 bps.

C.

The index portfolio will outperform the active portfolio by approximately 21 bps.

解释：

A is correct.

The sum of the key rate durations equals the effective portfolio duration.

The approximate (first-order) change in portfolio value may be estimated from the first (modified) term, namely (-EffDur × ΔYield).

Solving for this using the -1.22 effective duration difference multiplied by 0.005 equals 0.0061%, or 61 bps.

请问这个考点在哪一部分？

添加评论
1 个答案
已采纳答案

pzqa31 · 2024年05月05日

嗨，爱思考的PZer你好：


这道题考察的就是（△P/P）=-（∑KRDi）*△y这个公式的应用，KRD是二级就学过的。

active portfolio的∑KRDi为6.115，index的∑KRDi为7.335，在收益率曲线向上平移50Bp时（一般提到level，就是平行移动），

active portfolio的△P/P=-3.0575%，index的△P/P=-3.6675%，所以，active 的表现比index要好，收益率少下降61bp。



----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 0

    关注

  • 123

    浏览
相关问题

NO.PZ202112010200000701 问题如下 Whiof the followingstatements is true if yiellevels increase 50 bps? A.The activeportfolio will outperform the inx portfolio approximately 61 bps. B.The inx portfolio will outperform the active portfolio approximately 61 bps. C.The inx portfolio will outperform the active portfolio approximately 21 bps. A is correct.The sum of the key raterations equals the effective portfolio ration. Theapproximate (first-orr) change in portfolio value mestimatefrom the first(mofie term, namely(-Effr × ΔYiel. Solving for this using the -1.22 effective rationfferenmultipliey 0.005 equals 0.0061%, or 61 bps. 价格变化=-M△y+ 0.5*convexity*△y₂，加号后面的不考虑么？

2023-06-30 11:01 1 · 回答

NO.PZ202112010200000701 问题如下 Whiof the followingstatements is true if yiellevels increase 50 bps? A.The activeportfolio will outperform the inx portfolio approximately 61 bps. B.The inx portfolio will outperform the active portfolio approximately 61 bps. C.The inx portfolio will outperform the active portfolio approximately 21 bps. A is correct.The sum of the key raterations equals the effective portfolio ration. Theapproximate (first-orr) change in portfolio value mestimatefrom the first(mofie term, namely(-Effr × ΔYiel. Solving for this using the -1.22 effective rationfferenmultipliey 0.005 equals 0.0061%, or 61 bps. 为什么The sum of the key rate rations equals the effective portfolio ration.麻烦老师解析一下这道题考点和答案吧。

2022-04-28 13:29 1 · 回答

NO.PZ202112010200000701问题如下 Whiof the followingstatements is true if yiellevels increase 50 bps? A.The activeportfolio will outperform the inx portfolio approximately 61 bps.B.The inx portfolio will outperform the active portfolio approximately 61 bps.C.The inx portfolio will outperform the active portfolio approximately 21 bps. A is correct.The sum of the key raterations equals the effective portfolio ration. Theapproximate (first-orr) change in portfolio value mestimatefrom the first(mofie term, namely(-Effr × ΔYiel. Solving for this using the -1.22 effective rationfferenmultipliey 0.005 equals 0.0061%, or 61 bps. 绿色内容，对于解答此题的作用是？

2022-03-27 18:37 1 · 回答

NO.PZ202112010200000701 请问一下，active比inx的portfolio key rate ration 少1.22，为什么是outperform？谢谢

2022-02-23 20:16 1 · 回答